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Identify normal loss parameters from two quantiles

Two distinct confidence quantiles identify σL from their difference and then μL.

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State what the two numbers represent

Suppose qa and qb are quantiles of the same declared normal loss law at distinct confidence levels a and b. They must share the same unit, horizon and loss definition. Two values from incompatible models cannot identify one parameter pair.

Subtract the quantile equations

σL=qb−qazb−za,μL=qa−σLza\sigma_L=\frac{q_b-q_a}{z_b-z_a},\qquad\mu_L=q_a-\sigma_L z_a

za and zb are distinct standard normal quantiles; the resulting scale must be nonnegative.

Check an internally generated example

Original quantiles 16.448536... at 95% and 23.263479... at 99% come from μL=0 and σL=10. Using full precision recovers dispersion 10 and mean zero. Rounded published values can produce a small reconstruction difference.

Keep identification separate from evidence

Solving two equations does not test normality, calibrate an empirical distribution or validate the confidence interpretation. Other loss laws can share those two quantiles while having different tails.

Further references